Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0417 |
| Annualized Std Dev | 0.1745 |
| Annualized Sharpe (Rf=0%) | -0.2391 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4106.0000 |
| NAs | 1.0000 |
| Minimum | -0.0990 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0042 |
| Maximum | 0.2266 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0110 |
| Skewness | 1.1414 |
| Kurtosis | 60.2977 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0079 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0096 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.6069 |
| Historical VaR (95%) | -0.0132 |
| Historical ES (95%) | -0.0266 |
| Modified VaR (95%) | -0.0010 |
| Modified ES (95%) | -0.0010 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-12-07 | 2020-03-23 | NA | -0.6069 | 4100 | 3849 | NA |
| 2004-11-26 | 2004-11-26 | 2004-11-30 | -0.0005 | 3 | 1 | 2 |
| 2004-12-01 | 2004-12-01 | 2004-12-02 | -0.0005 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.7 | 0.6 |
| 2005 | 1.3 | 0.1 | -0.3 | 0.1 | 0.3 | -0.6 | -0.9 | 0 | 0.1 | -1.4 | -0.1 | 1.2 | -0.3 |
| 2006 | -1.2 | -0.5 | 0.3 | -0.9 | -1.2 | 0.1 | -0.7 | -0.3 | 1.1 | -0.8 | -0.9 | 0.1 | -4.8 |
| 2007 | -0.3 | -0.7 | -0.3 | -0.4 | -0.5 | 0.6 | -2.7 | 1 | -0.4 | -0.3 | 0.7 | 0.2 | -3 |
| 2008 | 1.4 | -0.6 | 0.1 | -0.6 | -0.3 | -1.6 | 0.3 | 0.2 | 1.3 | 0.2 | -7.5 | 2.2 | -5.1 |
| 2009 | -0.7 | 0.2 | 0.8 | -0.7 | -0.4 | -0.3 | 1.4 | -0.5 | -0.9 | -1.8 | -1 | -0.1 | -4.1 |
| 2010 | -0.3 | 0.4 | -0.3 | -0.2 | -3.1 | -1.1 | 0.1 | -0.2 | -0.8 | -1.8 | 0 | 2.3 | -5 |
| 2011 | -0.6 | -1.8 | 0.2 | 1.3 | -0.5 | -0.2 | 0.6 | -0.3 | -1.2 | -1.9 | -2 | 0.4 | -5.8 |
| 2012 | -0.1 | -0.4 | 0.3 | -0.3 | -1.9 | -0.1 | 1.3 | 0.8 | -2.3 | -1 | -0.1 | 0.2 | -3.5 |
| 2013 | -0.6 | -1 | -1.3 | -0.3 | -1.8 | 0.6 | -2.4 | 0 | -0.5 | -1.3 | 0.9 | -0.6 | -8.2 |
| 2014 | 0.3 | 0.5 | 0.1 | -0.3 | 0.5 | -0.8 | -1.3 | 0.4 | -1.2 | 0 | -2.1 | 1.1 | -2.9 |
| 2015 | -0.2 | -0.1 | -0.8 | -0.9 | -1 | -1.4 | 0.2 | -1.5 | -1 | 0.5 | -0.9 | 0.2 | -6.8 |
| 2016 | -0.5 | 0.7 | -0.7 | 0.5 | -0.1 | -0.3 | -0.4 | -1.8 | 0.2 | -0.5 | -1.7 | 0.7 | -4.1 |
| 2017 | -0.9 | -0.4 | 0.3 | -0.2 | -0.2 | -0.3 | -0.7 | -0.3 | 0.7 | -0.7 | 0.1 | 0.6 | -2.1 |
| 2018 | -0.3 | -1.4 | 0.2 | -0.3 | -1.1 | 0.7 | -1 | -0.2 | -0.8 | -0.2 | 0.8 | 0.4 | -3.3 |
| 2019 | -0.6 | -1.7 | -0.7 | -0.1 | 0 | -0.4 | 0.7 | -0.6 | 0.7 | -0.1 | -0.5 | -0.4 | -3.7 |
| 2020 | 1.7 | -3 | -2.6 | -2.1 | -2.4 | -1.5 | 0.7 | 0.3 | 0.6 | 0 | -0.7 | 0.1 | -8.7 |
| 2021 | -0.7 | -0.1 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
